When studying ASP.net membership provider I faced with such a question and could not find an answer.
It is clear that We have Database, where provider stores information like name/pwd etc. , but how does it find the right key for the current user? Is it transfered via HTTP headers and saved in users' cookie?
Basically, the forms authentication ticket is contained inside a cookie. The cookie is stored at clients side, and sent back to server with the page request for authentication .
If you use ASP.NET Universal Providers' Membership, I would like to suggest to use ASP.Net Login control; it works right out of the box with Membership provider without writing any code.